Is There a Risk Premium Puzzle in Real Estate?

Real Estate Economics

Volumn 31, Issue 4, 2003, Pages 501-525

  Shilling, James D ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0344719122     PISSN: 10808620     EISSN: None     Source Type: Journal    
DOI: 10.1046/j.1080-8620.2003.00075.x     Document Type: Review

References (34)

1. Banerjee, A. 1989. A Simple Model of Herd Behavior. Working paper. Princeton University: Princeton, NJ.
2. Bikhchandani, S., D. Hirshleifer and I. Welch. 1992. A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades. Journal of Political Economy 100: 992-1026.
3. Blanchard, O.J. 1993. Movements in the Equity Premium. Brookings Papers on Economic Activity 2: 75-138.
4. Bruner, R.F., K.M. Eades, R.S. Harris and R.C. Higgins. 1998. Best Practices in Estimating the Cost of Capital: Survey and Synthesis. Financial Practice and Education 4: 13-28.
5. Campbell, J.Y. 1991. A Variance Decomposition for Stock Returns. The Economic Journal 101: 157-179.
6. _, S. Grossman and J. Wang. 1993. Trading Volume and Serial Correlation in Stock Returns. Quarterly Journal of Economics 108: 905-939.
7. Cho, H., Y. Kawaguchi and J.D. Shilling. 2003. Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology. Journal of Real Estate Finance and Economics 27: 393-405.
8. Claus, T. and J. Thomas. 2000. Equity Premia as Low as Three Percent? Empirical Evidence from Analysts Earnings Forecasts for Domestic and International Stock Markets. Working paper. Columbia Business School: New York.
9. Conlisk, J. 1980. Costly Optimizers versus Cheap Imitators. Journal of Economical Behavior and Organization 1: 275-293.
10. Conrad, J. and G. Kaul. 1988. Time-Variation in Expected Returns. The Journal of Business 61: 409-425.
11. Constantinides, G. 1986. Capital Market Equilibrium with Transaction Costs. Journal of Political Economy 94: 842-862.
12. Fama, E.F. and K.R. French. 1988. Dividend Yields and Expected Stock Returns. Journal of Financial Economics 22: 3-25.
13. _ and _. 2002. The Equity Premium. The Journal of Finance 57: 637-659.
14. Fisher, J.D., D.M. Geltner and R.B. Webb. 1994. Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods. Journal of Real Estate Finance and Economics 9: 137-164.
15. Geltner, D.M. 1993. Estimating Market Values from Appraised Values without Assuming an Efficient Market. Journal of Real Estate Research 8: 325-345.
16. Gitman, L.J. and J.R. Forrester. 1977. A Survey of Capital Budgeting Techniques Used by Major U.S. Firms. Financial Management 6: 66-71.
17. _ and V.A. Mercurio. 1982. Cost of Capital Techniques Used by U.S. Firms: Survey and Analysis of Fortune's 1000. Financial Management 11: 21-29.
18. Glosten, L.R., R. Jagannathan and D. Runkle. 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks. Journal of Finance 48: 1779-1802.
19. Hansen, L.P. and R. Jagannathan. 1991. Implications of Security Market Data for Models of Dynamic Economies. Journal of Political Economy 99: 225-262.
20. Jagannathan, R., E.R. McGrattan and A. Scherbina. 2001. The Declining U.S. Equity Premium. Quarterly Review, Federal Reserve Bank of Minneapolis: Minneapolis, MN.
21. Jorion, P. and W.N. Goetzmann. 1999. Global Stock Markets in the Twentieth Century. Journal of Finance 54: 953-980.
22. Malkiel, B. 1964. The Term Structure of Interest Rates. American Economic Review: Papers and Proceedings 54: 532-543.
23. Mehra, R. 2003. The Equity Premium: Why Is It a Puzzle? NBER Working Paper 9512. Cambridge, MA.
24. _ and E.C. Prescott. 1985. The Equity Premium: A Puzzle. Journal of Monetary Economics 15: 145-161.
25. _ and _. 2003. The Equity Premium in Retrospect. NBER Working Paper 9525. Cambridge, MA.
26. Moore, J. and A. Reichert. 1983. An Analysis of Financial Management Techniques Currently Employed by Large U.S. Corporations. Journal of Business Finance and Accounting 10: 623-645.
27. Nelson, D.B. 1992. Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59: 347-370.
28. Poterba, J. and L.J. Summers. 1988. Mean Reversion in Stock Prices. Journal of Financial Economics 22: 27-59.
29. Ross, S.A. and R. Zisler. 1991. Risk and Return in Real Estate. Journal of Real Estate Finance and Economics 4: 175-190.
30. Schall, L.D., G.L. Sundem and W.R. Geijsbeek, Jr. 1978. Survey and Analysis of Capital Budgeting Methods. Journal of Finance 33: 281-287.
31. Scharfstein, D.S. and J.C. Stein. 1990. Herd Behavior and Investment. The American Economic Review 80: 465-479.
32. Shulman, D., S. Axelrod and D. Harris. 2002. REITs Industry Update. Lehman Brothers: New York.
33. Wadhwani, S.B. 1999. The U.S. Stock Market and the Global Economic Crisis. National Institute Economic Review 167: 86-109.
34. Zwiebel, J. 1995. Corporate Conservatism and Relative Compensation. Journal of Political Economy 103: 1-25.